Quantam SA : Dynamic Gold Intraday Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Feb Performance -0.76% Min Investment $ 500k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 3.72% Sharpe (RFR=1%) 1.02 CAROR 4.83% Assets $ 10.7M Worst DD -3.86 S&P Correlation 0.06 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Feb Qtr YTD 1yr 3yr 5yr 10yr Since1/2012 Dynamic Gold Intraday -0.76 - - - - - - 10.76 S&P 500 4.31 - - - - - - 164.00 +/- S&P 500 -5.07 - - - - - - -153.24 Strategy Description SummaryDynamic Gold is an intraday, diversified set of automated trading algorithms arbitrating the noise of Gold futures prices with a fast dynamic hedging overlay.... Read More Account & Fees Type Managed Account Minimum Investment $ 500k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 1.00 Management Fee 1.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 4300 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD -1.00% Worst Peak-to-Trough 3.18% Sector Focus Financial & Metals Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 100.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 50.00% Trend-following 50.00% Composition Precious Metals 100.00% SummaryDynamic Gold is an intraday, diversified set of automated trading algorithms arbitrating the noise of Gold futures prices with a fast dynamic hedging overlay.Investment StrategyTakes advantage of the persistent "noise" and the presence of "waves" due to the assymetric behavior of investors who use this specific asset as a hedge and/or a financial refuge. A set of diversified strategies designed to catch micro behaviors in the gold futures prices. Risk ManagementFlat overnight and avoids being in the market during predictable perturbating events. Flattens when implied volatility peaks up above thresholds. Intraday dynamic gearing mechanism cuts all positions when -1% intraday stop loss is reached. - 60 days drawdown mitigator (-3%) - Maximal VaR systematic capper (about 6% max margin to equity) - Trades only the most liquid expiry, hence unsensitive to roll-overs and calendar spreads. - Limited capacity Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -3.86 13 - 1/1/2013 2/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 15.20 13 1/1/2012 1/1/2013 0.56 1 9/1/2013 9/1/2013 0.31 1 7/1/2013 7/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -3.15 5 2/1/2013 6/1/2013 -1.48 5 10/1/2013 2/1/2014 -0.11 1 8/1/2013 8/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods26.0024.0021.0015.009.00 Percent Profitable57.6958.3366.6773.33100.00 Average Period Return0.401.282.764.697.62 Average Gain1.012.904.867.267.62 Average Loss-0.43-0.99-1.44-2.39 Best Period3.865.1810.3814.6611.58 Worst Period-1.78-2.80-2.85-3.121.81 Standard Deviation1.072.424.216.063.57 Gain Standard Deviation0.971.763.544.893.57 Loss Standard Deviation0.500.821.100.53 Sharpe Ratio (1%)0.290.420.540.611.71 Average Gain / Average Loss2.332.923.393.03 Profit / Loss Ratio3.174.096.778.34 Downside Deviation (10%)0.631.552.534.122.66 Downside Deviation (5%)0.460.951.271.77 Downside Deviation (0%)0.420.811.021.26 Sortino Ratio (10%)-0.010.030.12-0.080.01 Sortino Ratio (5%)0.691.091.782.08 Sortino Ratio (0%)0.951.572.723.72 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel